An improved Bayesian unit root test in stochastic volatility models
A new posterior odds analysis is developed to test for a unit root in volatilitydynamics in the context of stochastic volatility models. Our analysis extendsthe Bayesian unit root test of So and Li (1999) in two important ways. First,a mixed informative prior distribution with a random weight is int...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2019
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2311 https://ink.library.smu.edu.sg/context/soe_research/article/3310/viewcontent/aef200104_pv.pdf |
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| Institution: | Singapore Management University |
| Language: | English |